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These are hypothetical performance results that have certain inherent limitations. Learn more

Wallstreet Wizards
(125215413)

Created by: AMBRO AMBRO
Started: 09/2019
Stocks
Last trade: 922 days ago
Trading style: Equity Trend-following Short-term Reversal

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-4.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(30.2%)
Max Drawdown
80
Num Trades
38.8%
Win Trades
0.8 : 1
Profit Factor
47.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        +4.5%(5.7%)(5.4%)+1.9%(5%)
2020(1.4%)(9.4%)(4.4%)+23.2%+1.0%+1.7%+15.1%(1.1%)(6.6%)+0.7%(8.6%)+4.2%+10.4%
2021(2.9%)(7.1%)+4.1%+3.0%+10.2%(9.9%)+1.6%(5.2%)(4.1%)+3.3%+4.1%(2.2%)(6.6%)
2022(5.6%)+11.2%+9.7%(8%)(6.3%)(7.3%)(5.1%)+2.9%                        (10%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/3/20 13:17 TSLA TESLA INC. SHORT 50 755.05 2/3 14:20 765.00 0.91%
Trade id #127339567
Max drawdown($411)
Time2/3/20 14:17
Quant open50
Worst price763.28
Drawdown as % of equity-0.91%
($499)
Includes Typical Broker Commissions trade costs of $1.00
2/3/20 12:40 TSLA TESLA INC. SHORT 50 744.10 2/3 12:57 764.00 1.66%
Trade id #127338758
Max drawdown($769)
Time2/3/20 12:57
Quant open50
Worst price759.49
Drawdown as % of equity-1.66%
($996)
Includes Typical Broker Commissions trade costs of $1.00
1/8/20 10:02 BYND BEYOND MEAT INC. COMMON STOCK LONG 100 84.35 1/8 15:40 82.10 0.65%
Trade id #126912624
Max drawdown($310)
Time1/8/20 10:58
Quant open100
Worst price81.25
Drawdown as % of equity-0.65%
($227)
Includes Typical Broker Commissions trade costs of $2.00
12/11/19 13:59 GDX VANECK GOLD MINERS ETF LONG 2,000 28.50 1/6/20 10:09 29.39 1%
Trade id #126582916
Max drawdown($450)
Time12/23/19 0:00
Quant open1,000
Worst price27.05
Drawdown as % of equity-1.00%
$1,763
Includes Typical Broker Commissions trade costs of $7.50
12/11/19 13:59 TSLA TESLA INC. SHORT 50 354.30 12/16 11:02 376.43 2.45%
Trade id #126582918
Max drawdown($1,140)
Time12/16/19 10:10
Quant open50
Worst price377.11
Drawdown as % of equity-2.45%
($1,108)
Includes Typical Broker Commissions trade costs of $1.00
11/15/19 10:25 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 2,000 11.08 12/11 14:50 10.88 2.78%
Trade id #126226931
Max drawdown($1,320)
Time12/3/19 0:00
Quant open2,000
Worst price10.42
Drawdown as % of equity-2.78%
($408)
Includes Typical Broker Commissions trade costs of $7.50
12/2/19 10:01 TSLA TESLA INC. SHORT 100 334.71 12/2 13:14 336.08 0.25%
Trade id #126440332
Max drawdown($121)
Time12/2/19 13:14
Quant open100
Worst price335.92
Drawdown as % of equity-0.25%
($139)
Includes Typical Broker Commissions trade costs of $2.00
11/29/19 12:16 TSLA TESLA INC. SHORT 100 330.05 11/29 12:55 330.08 0.07%
Trade id #126422005
Max drawdown($31)
Time11/29/19 12:34
Quant open100
Worst price330.37
Drawdown as % of equity-0.07%
($5)
Includes Typical Broker Commissions trade costs of $2.00
11/29/19 10:18 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 100 162.33 11/29 11:51 160.19 n/a $212
Includes Typical Broker Commissions trade costs of $2.00
11/27/19 14:05 SHOP SHOPIFY INC SHORT 100 339.67 11/27 15:31 341.51 0.37%
Trade id #126394926
Max drawdown($170)
Time11/27/19 15:30
Quant open100
Worst price341.37
Drawdown as % of equity-0.37%
($186)
Includes Typical Broker Commissions trade costs of $2.00
11/27/19 12:56 SHOP SHOPIFY INC SHORT 100 338.73 11/27 13:24 338.78 0.07%
Trade id #126391539
Max drawdown($33)
Time11/27/19 13:05
Quant open100
Worst price339.06
Drawdown as % of equity-0.07%
($7)
Includes Typical Broker Commissions trade costs of $2.00
11/27/19 12:02 CLVS CLOVIS ONCOLOGY LONG 1,000 12.05 11/27 12:38 11.83 0.21%
Trade id #126390025
Max drawdown($100)
Time11/27/19 12:36
Quant open1,000
Worst price11.95
Drawdown as % of equity-0.21%
($233)
Includes Typical Broker Commissions trade costs of $12.50
11/27/19 11:03 DELL DELL TECHNOLOGIES INC SHORT 500 51.56 11/27 11:58 50.82 0.17%
Trade id #126387732
Max drawdown($80)
Time11/27/19 11:15
Quant open500
Worst price51.72
Drawdown as % of equity-0.17%
$360
Includes Typical Broker Commissions trade costs of $10.00
11/26/19 10:13 SHOP SHOPIFY INC SHORT 100 323.23 11/26 10:41 328.23 0.95%
Trade id #126369343
Max drawdown($440)
Time11/26/19 10:41
Quant open100
Worst price327.63
Drawdown as % of equity-0.95%
($502)
Includes Typical Broker Commissions trade costs of $2.00
11/25/19 11:10 TSLA TESLA INC. LONG 100 336.70 11/25 15:52 336.13 0.48%
Trade id #126354528
Max drawdown($224)
Time11/25/19 14:57
Quant open100
Worst price334.46
Drawdown as % of equity-0.48%
($59)
Includes Typical Broker Commissions trade costs of $2.00
11/21/19 14:04 SHOP SHOPIFY INC LONG 100 315.25 11/21 15:24 316.14 0.13%
Trade id #126310621
Max drawdown($59)
Time11/21/19 14:15
Quant open100
Worst price314.66
Drawdown as % of equity-0.13%
$87
Includes Typical Broker Commissions trade costs of $2.00
11/13/19 13:27 SHOP SHOPIFY INC SHORT 50 313.16 11/21 13:50 316.35 1.32%
Trade id #126195022
Max drawdown($633)
Time11/18/19 0:00
Quant open50
Worst price325.83
Drawdown as % of equity-1.32%
($161)
Includes Typical Broker Commissions trade costs of $1.00
11/13/19 13:27 TSLA TESLA INC. SHORT 50 351.48 11/21 13:38 358.60 1.03%
Trade id #126195015
Max drawdown($486)
Time11/20/19 0:00
Quant open50
Worst price361.20
Drawdown as % of equity-1.03%
($357)
Includes Typical Broker Commissions trade costs of $1.00
11/5/19 11:01 MCD MCDONALD'S LONG 100 190.00 11/14 15:07 194.07 0.03%
Trade id #126077463
Max drawdown($13)
Time11/5/19 11:07
Quant open100
Worst price189.87
Drawdown as % of equity-0.03%
$405
Includes Typical Broker Commissions trade costs of $2.00
11/7/19 12:35 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 100 124.86 11/13 13:08 138.71 2.89%
Trade id #126116205
Max drawdown($1,394)
Time11/13/19 13:08
Quant open100
Worst price138.81
Drawdown as % of equity-2.89%
($1,387)
Includes Typical Broker Commissions trade costs of $2.00
11/5/19 10:15 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 500 27.00 11/7 12:01 25.82 1.24%
Trade id #126076440
Max drawdown($630)
Time11/7/19 12:00
Quant open500
Worst price25.74
Drawdown as % of equity-1.24%
($600)
Includes Typical Broker Commissions trade costs of $10.00
11/1/19 9:57 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 15.76 11/7 12:01 15.15 1.28%
Trade id #126038043
Max drawdown($650)
Time11/7/19 12:00
Quant open1,000
Worst price15.11
Drawdown as % of equity-1.28%
($615)
Includes Typical Broker Commissions trade costs of $5.00
10/29/19 13:30 SHOP SHOPIFY INC SHORT 50 309.51 11/5 10:27 298.10 1.27%
Trade id #125992600
Max drawdown($628)
Time11/1/19 0:00
Quant open50
Worst price322.08
Drawdown as % of equity-1.27%
$570
Includes Typical Broker Commissions trade costs of $1.00
10/30/19 9:45 GE GENERAL ELECTRIC LONG 2,000 10.10 11/1 10:32 10.07 0.8%
Trade id #126004016
Max drawdown($390)
Time10/30/19 13:27
Quant open2,000
Worst price9.90
Drawdown as % of equity-0.80%
($58)
Includes Typical Broker Commissions trade costs of $17.50
10/30/19 13:37 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 500 27.74 10/31 15:34 29.47 0.18%
Trade id #126008676
Max drawdown($85)
Time10/30/19 14:02
Quant open500
Worst price27.57
Drawdown as % of equity-0.18%
$855
Includes Typical Broker Commissions trade costs of $10.00
10/28/19 14:47 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 100 145.81 10/29 13:31 148.63 0.75%
Trade id #125977821
Max drawdown($370)
Time10/29/19 0:00
Quant open100
Worst price149.51
Drawdown as % of equity-0.75%
($284)
Includes Typical Broker Commissions trade costs of $2.00
10/28/19 10:03 T AT&T LONG 500 38.52 10/28 14:07 38.40 0.17%
Trade id #125973450
Max drawdown($85)
Time10/28/19 12:57
Quant open500
Worst price38.35
Drawdown as % of equity-0.17%
($70)
Includes Typical Broker Commissions trade costs of $10.00
10/25/19 11:39 SHOP SHOPIFY INC LONG 75 318.28 10/25 15:44 317.10 0.4%
Trade id #125951527
Max drawdown($198)
Time10/25/19 12:09
Quant open75
Worst price315.63
Drawdown as % of equity-0.40%
($90)
Includes Typical Broker Commissions trade costs of $1.50
10/14/19 10:15 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 17.02 10/25 10:49 16.36 1.24%
Trade id #125765297
Max drawdown($628)
Time10/24/19 0:00
Quant open1,000
Worst price16.39
Drawdown as % of equity-1.24%
($667)
Includes Typical Broker Commissions trade costs of $9.00
10/24/19 9:39 TSLA TESLA INC. SHORT 75 294.01 10/25 10:14 307.58 5.38%
Trade id #125933084
Max drawdown($2,699)
Time10/25/19 0:00
Quant open75
Worst price330.00
Drawdown as % of equity-5.38%
($1,020)
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    9/4/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1071.5
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    80
  • # Profitable
    31
  • % Profitable
    38.80%
  • Avg trade duration
    14.2 days
  • Max peak-to-valley drawdown
    30.16%
  • drawdown period
    Sept 25, 2019 - March 23, 2020
  • Annual Return (Compounded)
    -4.2%
  • Avg win
    $438.58
  • Avg loss
    $397.76
  • Model Account Values (Raw)
  • Cash
    $32,779
  • Margin Used
    $0
  • Buying Power
    $30,649
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    -0.359
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -55.13%
  • Correlation to SP500
    0.42380
  • Return Percent SP500 (cumu) during strategy life
    45.69%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.2%
  • Slump
  • Current Slump as Pcnt Equity
    34.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    452
  • Popularity (Last 6 weeks)
    283
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $398
  • Avg Win
    $439
  • Sum Trade PL (losers)
    $19,490.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $13,596.000
  • # Winners
    31
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    1172
  • Win / Loss
  • # Losers
    49
  • % Winners
    38.8%
  • Frequency
  • Avg Position Time (mins)
    20447.00
  • Avg Position Time (hrs)
    340.78
  • Avg Trade Length
    14.2 days
  • Last Trade Ago
    919
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.60
  • Regression
  • Alpha
    -0.03
  • Beta
    0.41
  • Treynor Index
    -0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -6.534
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.406
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.814
  • Hold-and-Hope Ratio
    -0.192
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08670
  • SD
    0.62900
  • Sharpe ratio (Glass type estimate)
    0.13784
  • Sharpe ratio (Hedges UMVUE)
    0.12719
  • df
    10.00000
  • t
    0.13197
  • p
    0.44881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17506
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37127
  • Upside Potential Ratio
    2.67401
  • Upside part of mean
    0.62444
  • Downside part of mean
    -0.53774
  • Upside SD
    0.55296
  • Downside SD
    0.23352
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.46673
  • Mean of criterion
    0.08670
  • SD of predictor
    0.75692
  • SD of criterion
    0.62900
  • Covariance
    0.37696
  • r
    0.79177
  • b (slope, estimate of beta)
    0.65796
  • a (intercept, estimate of alpha)
    -0.22039
  • Mean Square Error
    0.16401
  • DF error
    9.00000
  • t(b)
    3.88874
  • p(b)
    0.00184
  • t(a)
    -0.51217
  • p(a)
    0.68957
  • Lowerbound of 95% confidence interval for beta
    0.27521
  • Upperbound of 95% confidence interval for beta
    1.04071
  • Lowerbound of 95% confidence interval for alpha
    -1.19381
  • Upperbound of 95% confidence interval for alpha
    0.75303
  • Treynor index (mean / b)
    0.13177
  • Jensen alpha (a)
    -0.22039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05713
  • SD
    0.53390
  • Sharpe ratio (Glass type estimate)
    -0.10700
  • Sharpe ratio (Hedges UMVUE)
    -0.09873
  • df
    10.00000
  • t
    -0.10244
  • p
    0.53978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94884
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22811
  • Upside Potential Ratio
    2.03343
  • Upside part of mean
    0.50924
  • Downside part of mean
    -0.56637
  • Upside SD
    0.44350
  • Downside SD
    0.25044
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.21390
  • Mean of criterion
    -0.05713
  • SD of predictor
    0.73837
  • SD of criterion
    0.53390
  • Covariance
    0.28538
  • r
    0.72393
  • b (slope, estimate of beta)
    0.52346
  • a (intercept, estimate of alpha)
    -0.16910
  • Mean Square Error
    0.15073
  • DF error
    9.00000
  • t(b)
    3.14813
  • p(b)
    0.00589
  • t(a)
    -0.41540
  • p(a)
    0.65621
  • Lowerbound of 95% confidence interval for beta
    0.14732
  • Upperbound of 95% confidence interval for beta
    0.89961
  • Lowerbound of 95% confidence interval for alpha
    -1.08994
  • Upperbound of 95% confidence interval for alpha
    0.75175
  • Treynor index (mean / b)
    -0.10913
  • Jensen alpha (a)
    -0.16910
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22761
  • Expected Shortfall on VaR
    0.27463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12396
  • Expected Shortfall on VaR
    0.18318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.82999
  • Quartile 1
    0.94192
  • Median
    0.97669
  • Quartile 3
    1.00381
  • Maximum
    1.53080
  • Mean of quarter 1
    0.88997
  • Mean of quarter 2
    0.96325
  • Mean of quarter 3
    0.98302
  • Mean of quarter 4
    1.19313
  • Inter Quartile Range
    0.06189
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.82999
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.53080
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.88301
  • VaR(95%) (moments method)
    0.12135
  • Expected Shortfall (moments method)
    0.12247
  • Extreme Value Index (regression method)
    -0.16307
  • VaR(95%) (regression method)
    0.17939
  • Expected Shortfall (regression method)
    0.23500
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15864
  • Quartile 1
    0.18526
  • Median
    0.21188
  • Quartile 3
    0.23850
  • Maximum
    0.26511
  • Mean of quarter 1
    0.15864
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26511
  • Inter Quartile Range
    0.05324
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02883
  • Compounded annual return (geometric extrapolation)
    -0.02880
  • Calmar ratio (compounded annual return / max draw down)
    -0.10862
  • Compounded annual return / average of 25% largest draw downs
    -0.10862
  • Compounded annual return / Expected Shortfall lognormal
    -0.10486
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06158
  • SD
    0.39819
  • Sharpe ratio (Glass type estimate)
    -0.15465
  • Sharpe ratio (Hedges UMVUE)
    -0.15418
  • df
    245.00000
  • t
    -0.14985
  • p
    0.55950
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86857
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.23332
  • Upside Potential Ratio
    6.75165
  • Upside part of mean
    1.78192
  • Downside part of mean
    -1.84350
  • Upside SD
    0.29710
  • Downside SD
    0.26392
  • N nonnegative terms
    125.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.45161
  • Mean of criterion
    -0.06158
  • SD of predictor
    0.44223
  • SD of criterion
    0.39819
  • Covariance
    0.10630
  • r
    0.60367
  • b (slope, estimate of beta)
    0.54355
  • a (intercept, estimate of alpha)
    -0.30700
  • Mean Square Error
    0.10119
  • DF error
    244.00000
  • t(b)
    11.82800
  • p(b)
    0.00000
  • t(a)
    -0.93347
  • p(a)
    0.82425
  • Lowerbound of 95% confidence interval for beta
    0.45303
  • Upperbound of 95% confidence interval for beta
    0.63407
  • Lowerbound of 95% confidence interval for alpha
    -0.95496
  • Upperbound of 95% confidence interval for alpha
    0.34086
  • Treynor index (mean / b)
    -0.11329
  • Jensen alpha (a)
    -0.30705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13857
  • SD
    0.39115
  • Sharpe ratio (Glass type estimate)
    -0.35426
  • Sharpe ratio (Hedges UMVUE)
    -0.35317
  • df
    245.00000
  • t
    -0.34327
  • p
    0.63416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66977
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50646
  • Upside Potential Ratio
    6.36429
  • Upside part of mean
    1.74126
  • Downside part of mean
    -1.87983
  • Upside SD
    0.27855
  • Downside SD
    0.27360
  • N nonnegative terms
    125.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.35536
  • Mean of criterion
    -0.13857
  • SD of predictor
    0.43806
  • SD of criterion
    0.39115
  • Covariance
    0.10051
  • r
    0.58661
  • b (slope, estimate of beta)
    0.52379
  • a (intercept, estimate of alpha)
    -0.32470
  • Mean Square Error
    0.10076
  • DF error
    244.00000
  • t(b)
    11.31430
  • p(b)
    0.00000
  • t(a)
    -0.98995
  • p(a)
    0.83841
  • Lowerbound of 95% confidence interval for beta
    0.43260
  • Upperbound of 95% confidence interval for beta
    0.61498
  • Lowerbound of 95% confidence interval for alpha
    -0.97078
  • Upperbound of 95% confidence interval for alpha
    0.32137
  • Treynor index (mean / b)
    -0.26455
  • Jensen alpha (a)
    -0.32470
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03948
  • Expected Shortfall on VaR
    0.04909
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01586
  • Expected Shortfall on VaR
    0.03285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    246.00000
  • Minimum
    0.88718
  • Quartile 1
    0.99121
  • Median
    1.00022
  • Quartile 3
    1.00718
  • Maximum
    1.22120
  • Mean of quarter 1
    0.97589
  • Mean of quarter 2
    0.99635
  • Mean of quarter 3
    1.00339
  • Mean of quarter 4
    1.02386
  • Inter Quartile Range
    0.01598
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.04878
  • Mean of outliers low
    0.94107
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04878
  • Mean of outliers high
    1.05496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44662
  • VaR(95%) (moments method)
    0.02516
  • Expected Shortfall (moments method)
    0.05086
  • Extreme Value Index (regression method)
    0.19998
  • VaR(95%) (regression method)
    0.02144
  • Expected Shortfall (regression method)
    0.03280
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00290
  • Quartile 1
    0.01119
  • Median
    0.03532
  • Quartile 3
    0.21987
  • Maximum
    0.29181
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.03115
  • Mean of quarter 3
    0.03950
  • Mean of quarter 4
    0.28590
  • Inter Quartile Range
    0.20868
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10511
  • Compounded annual return (geometric extrapolation)
    -0.10476
  • Calmar ratio (compounded annual return / max draw down)
    -0.35899
  • Compounded annual return / average of 25% largest draw downs
    -0.36641
  • Compounded annual return / Expected Shortfall lognormal
    -2.13404
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08702
  • SD
    0.52940
  • Sharpe ratio (Glass type estimate)
    0.16437
  • Sharpe ratio (Hedges UMVUE)
    0.16342
  • df
    130.00000
  • t
    0.11623
  • p
    0.49490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93530
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25194
  • Upside Potential Ratio
    7.77964
  • Upside part of mean
    2.68708
  • Downside part of mean
    -2.60006
  • Upside SD
    0.39857
  • Downside SD
    0.34540
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58759
  • Mean of criterion
    0.08702
  • SD of predictor
    0.59987
  • SD of criterion
    0.52940
  • Covariance
    0.20222
  • r
    0.63675
  • b (slope, estimate of beta)
    0.56195
  • a (intercept, estimate of alpha)
    -0.24317
  • Mean Square Error
    0.16793
  • DF error
    129.00000
  • t(b)
    9.37924
  • p(b)
    0.12400
  • t(a)
    -0.41884
  • p(a)
    0.52346
  • Lowerbound of 95% confidence interval for beta
    0.44341
  • Upperbound of 95% confidence interval for beta
    0.68049
  • Lowerbound of 95% confidence interval for alpha
    -1.39190
  • Upperbound of 95% confidence interval for alpha
    0.90555
  • Treynor index (mean / b)
    0.15485
  • Jensen alpha (a)
    -0.24317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04834
  • SD
    0.51945
  • Sharpe ratio (Glass type estimate)
    -0.09306
  • Sharpe ratio (Hedges UMVUE)
    -0.09253
  • df
    130.00000
  • t
    -0.06581
  • p
    0.50289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67889
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.86435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67930
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13467
  • Upside Potential Ratio
    7.28243
  • Upside part of mean
    2.61422
  • Downside part of mean
    -2.66256
  • Upside SD
    0.37271
  • Downside SD
    0.35898
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41129
  • Mean of criterion
    -0.04834
  • SD of predictor
    0.59418
  • SD of criterion
    0.51945
  • Covariance
    0.19144
  • r
    0.62025
  • b (slope, estimate of beta)
    0.54224
  • a (intercept, estimate of alpha)
    -0.27136
  • Mean Square Error
    0.16731
  • DF error
    129.00000
  • t(b)
    8.98095
  • p(b)
    0.13217
  • t(a)
    -0.46867
  • p(a)
    0.52624
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    0.42278
  • Upperbound of 95% confidence interval for beta
    0.66170
  • Lowerbound of 95% confidence interval for alpha
    -1.41691
  • Upperbound of 95% confidence interval for alpha
    0.87419
  • Treynor index (mean / b)
    -0.08915
  • Jensen alpha (a)
    -0.27136
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05159
  • Expected Shortfall on VaR
    0.06416
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02243
  • Expected Shortfall on VaR
    0.04508
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88718
  • Quartile 1
    0.98764
  • Median
    1.00039
  • Quartile 3
    1.01453
  • Maximum
    1.22120
  • Mean of quarter 1
    0.96681
  • Mean of quarter 2
    0.99402
  • Mean of quarter 3
    1.00695
  • Mean of quarter 4
    1.03417
  • Inter Quartile Range
    0.02689
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.91601
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.22120
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40706
  • VaR(95%) (moments method)
    0.03449
  • Expected Shortfall (moments method)
    0.06635
  • Extreme Value Index (regression method)
    0.15180
  • VaR(95%) (regression method)
    0.03036
  • Expected Shortfall (regression method)
    0.04517
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00022
  • Quartile 1
    0.02968
  • Median
    0.12995
  • Quartile 3
    0.23825
  • Maximum
    0.29181
  • Mean of quarter 1
    0.00022
  • Mean of quarter 2
    0.03950
  • Mean of quarter 3
    0.22039
  • Mean of quarter 4
    0.29181
  • Inter Quartile Range
    0.20857
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -550086000
  • Max Equity Drawdown (num days)
    180
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02033
  • Compounded annual return (geometric extrapolation)
    -0.02023
  • Calmar ratio (compounded annual return / max draw down)
    -0.06932
  • Compounded annual return / average of 25% largest draw downs
    -0.06932
  • Compounded annual return / Expected Shortfall lognormal
    -0.31527

Strategy Description

1. It is a short term strategy.
2. The risk management is between 0.5% to 2% of the account per trade.
3. It will trade stocks and ETF (long & short).

Summary Statistics

Strategy began
2019-09-04
Suggested Minimum Capital
$15,000
# Trades
80
# Profitable
31
% Profitable
38.8%
Net Dividends
Correlation S&P500
0.424
Sharpe Ratio
-0.14
Sortino Ratio
-0.19
Beta
0.41
Alpha
-0.03
Leverage
0.96 Average
2.60 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.